{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,1,28]],"date-time":"2026-01-28T01:26:54Z","timestamp":1769563614733,"version":"3.49.0"},"reference-count":77,"publisher":"Springer Science and Business Media LLC","issue":"2","license":[{"start":{"date-parts":[[2014,5,10]],"date-time":"2014-05-10T00:00:00Z","timestamp":1399680000000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Rev Deriv Res"],"published-print":{"date-parts":[[2014,7]]},"DOI":"10.1007\/s11147-014-9097-9","type":"journal-article","created":{"date-parts":[[2014,5,9]],"date-time":"2014-05-09T11:04:05Z","timestamp":1399633445000},"page":"125-159","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":22,"title":["A closed-form solution for options with ambiguity about stochastic volatility"],"prefix":"10.1007","volume":"17","author":[{"given":"Gon\u00e7alo","family":"Faria","sequence":"first","affiliation":[]},{"given":"Jo\u00e3o","family":"Correia-da-Silva","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2014,5,10]]},"reference":[{"issue":"5","key":"9097_CR1","doi-asserted-by":"crossref","first-page":"2003","DOI":"10.1111\/j.1540-6261.1997.tb02749.x","volume":"52","author":"G Bakshi","year":"1997","unstructured":"Bakshi, G., Cao, C., & Chen, Z. (1997). Empirical performance of alternative option pricing models. Journal of Finance, 52(5), 2003\u20132049.","journal-title":"Journal of Finance"},{"issue":"1","key":"9097_CR2","doi-asserted-by":"crossref","first-page":"45","DOI":"10.3905\/jod.2003.319210","volume":"11","author":"G Bakshi","year":"2003","unstructured":"Bakshi, G., & Kapadia, N. (2003). Volatility risk premium embedded in individual equity options: Some new insights. Journal of Derivatives, 11(1), 45\u201354.","journal-title":"Journal of Derivatives"},{"issue":"2","key":"9097_CR3","doi-asserted-by":"crossref","first-page":"167","DOI":"10.1111\/1467-9868.00282","volume":"63","author":"OE Barndorff-Nielsen","year":"2001","unstructured":"Barndorff-Nielsen, O. E., & Shephard, N. (2001). Non-Gaussian Ornstein\u2013Uhlenbeck-based models and some of their uses in financial economics. Journal of The Royal Statistical Society Series B, 63(2), 167\u2013241.","journal-title":"Journal of The Royal Statistical Society Series B"},{"issue":"1","key":"9097_CR4","doi-asserted-by":"crossref","first-page":"69","DOI":"10.1093\/rfs\/9.1.69","volume":"9","author":"DS Bates","year":"1996","unstructured":"Bates, D. S. (1996). Jumps and stochastic volatility: Exchange rate processes implicit in deutsche mark options. Review of Financial Studies, 9(1), 69\u2013107.","journal-title":"Review of Financial Studies"},{"issue":"1\u20132","key":"9097_CR5","doi-asserted-by":"crossref","first-page":"181","DOI":"10.1016\/S0304-4076(99)00021-4","volume":"94","author":"DS Bates","year":"2000","unstructured":"Bates, D. S. (2000). Post-\u201987 crash fears in the S&P 500 futures option market. Journal of Econometrics, 94(1\u20132), 181\u2013238.","journal-title":"Journal of Econometrics"},{"issue":"3","key":"9097_CR6","doi-asserted-by":"crossref","first-page":"637","DOI":"10.1086\/260062","volume":"81","author":"F Black","year":"1973","unstructured":"Black, F., & Scholes, M. S. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637\u2013654.","journal-title":"Journal of Political Economy"},{"issue":"1\u20132","key":"9097_CR7","doi-asserted-by":"crossref","first-page":"5","DOI":"10.1016\/0304-4076(92)90064-X","volume":"52","author":"T Bollerslev","year":"1992","unstructured":"Bollerslev, T., Chou, R. Y., & Kroner, K. F. (1992). ARCH modeling in finance: A review of the theory and empirical evidence. Journal of Econometrics, 52(1\u20132), 5\u201359.","journal-title":"Journal of Econometrics"},{"issue":"1","key":"9097_CR8","doi-asserted-by":"crossref","first-page":"151","DOI":"10.1016\/0304-4076(95)01736-4","volume":"73","author":"T Bollerslev","year":"1996","unstructured":"Bollerslev, T., & Mikkelsen, H. O. (1996). Modeling and pricing long memory in stock market volatility. Journal of Econometrics, 73(1), 151\u2013184.","journal-title":"Journal of Econometrics"},{"issue":"6","key":"9097_CR9","doi-asserted-by":"crossref","first-page":"2165","DOI":"10.1111\/j.1540-6261.2011.01695.x","volume":"66","author":"T Bollerslev","year":"2011","unstructured":"Bollerslev, T., & Todorov, V. (2011). Tails, fears and risk premia. Journal of Finance, 66(6), 2165\u20132221.","journal-title":"Journal of Finance"},{"issue":"4","key":"9097_CR10","doi-asserted-by":"crossref","first-page":"325","DOI":"10.1007\/BF00122575","volume":"5","author":"C Camerer","year":"1992","unstructured":"Camerer, C., & Weber, M. (1992). Recent developments in modeling preferences: Uncertainty and ambiguity. Journal of Risk and Uncertainty, 5(4), 325\u2013370.","journal-title":"Journal of Risk and Uncertainty"},{"issue":"4","key":"9097_CR11","doi-asserted-by":"crossref","first-page":"1219","DOI":"10.1093\/rfs\/hhi034","volume":"18","author":"HH Cao","year":"2005","unstructured":"Cao, H. H., Wang, T., & Zhang, H. H. (2005). Model uncertainty, limited market participation, and asset prices. Review of Financial Studies, 18(4), 1219\u20131251.","journal-title":"Review of Financial Studies"},{"issue":"2","key":"9097_CR12","doi-asserted-by":"crossref","first-page":"753","DOI":"10.1111\/1540-6261.00544","volume":"58","author":"P Carr","year":"2003","unstructured":"Carr, P., & Wu, L. (2003). The finite moment log stable process and option pricing. Journal of Finance, 58(2), 753\u2013778.","journal-title":"Journal of Finance"},{"issue":"1","key":"9097_CR13","doi-asserted-by":"crossref","first-page":"113","DOI":"10.1016\/S0304-405X(03)00171-5","volume":"71","author":"P Carr","year":"2004","unstructured":"Carr, P., & Wu, L. (2004). Time-changed Levy processes and option pricing. Journal of Financial Economics, 71(1), 113\u2013141.","journal-title":"Journal of Financial Economics"},{"issue":"3","key":"9097_CR14","doi-asserted-by":"crossref","first-page":"1311","DOI":"10.1093\/rfs\/hhn038","volume":"22","author":"P Carr","year":"2009","unstructured":"Carr, P., & Wu, L. (2009). Variance risk premia. Review of Financial Studies, 22(3), 1311\u20131341.","journal-title":"Review of Financial Studies"},{"issue":"1","key":"9097_CR15","doi-asserted-by":"crossref","first-page":"29","DOI":"10.1007\/s11579-012-0081-6","volume":"7","author":"X Cheng","year":"2013","unstructured":"Cheng, X., & Riedel, F. (2013). Optimal stopping under ambiguity in continuous time. Mathematics and Financial Economics, 7(1), 29\u201368.","journal-title":"Mathematics and Financial Economics"},{"issue":"1","key":"9097_CR16","doi-asserted-by":"crossref","first-page":"123","DOI":"10.1016\/j.jfineco.2005.09.008","volume":"83","author":"P Cheridito","year":"2007","unstructured":"Cheridito, P., Filipovic, D., & Kimmel, R. L. (2007). Market price of risk specifications for affine models: Theory and evidence. Journal of Financial Economics, 83(1), 123\u2013170.","journal-title":"Journal of Financial Economics"},{"key":"9097_CR17","doi-asserted-by":"crossref","unstructured":"Chopra, V. K., & Ziemba, W. T. (1993). The effect of errors in means, variances, and covariances on optimal portfolio choice. The Journal of Portfolio Management, 19(2), 6\u201311.","DOI":"10.3905\/jpm.1993.409440"},{"key":"9097_CR18","unstructured":"Chudjakow, T., & Vorbrink, J. (2009). Exercise strategies for American exotic options under ambiguity. In Working papers 421, Bielefeld University, Institute of Mathematical Economics."},{"issue":"2","key":"9097_CR19","doi-asserted-by":"crossref","first-page":"363","DOI":"10.2307\/1911241","volume":"53","author":"JC Cox","year":"1985","unstructured":"Cox, J. C., Ingersoll, J., & Ross, S. A. (1985a). An intertemporal general equilibrium model of asset prices. Econometrica, 53(2), 363\u2013384.","journal-title":"Econometrica"},{"issue":"2","key":"9097_CR20","doi-asserted-by":"crossref","first-page":"385","DOI":"10.2307\/1911242","volume":"53","author":"JC Cox","year":"1985","unstructured":"Cox, J. C., Ingersoll, J., & Ross, S. A. (1985b). A theory of the term structure of interest rates. Econometrica, 53(2), 385\u2013407.","journal-title":"Econometrica"},{"issue":"2","key":"9097_CR21","doi-asserted-by":"crossref","first-page":"523","DOI":"10.1239\/jap\/1032374469","volume":"36","author":"J Cvitanic","year":"1999","unstructured":"Cvitanic, J., Pham, H., & Touzi, N. (1999). Super-replication in stochastic volatility models under portfolio constrains. Journal of Applied Probability, 36(2), 523\u2013545.","journal-title":"Journal of Applied Probability"},{"key":"9097_CR22","unstructured":"Drechsler, I. (2011). Uncertainty, time-varying fear, and asset prices. The Journal of Finance (forthcoming)."},{"issue":"1","key":"9097_CR23","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1093\/rfs\/hhq085","volume":"24","author":"I Drechsler","year":"2011","unstructured":"Drechsler, I., & Yaron, A. (2011). What vol got to do with it. Review of Financial Studies, 24(1), 1\u201345.","journal-title":"Review of Financial Studies"},{"key":"9097_CR24","doi-asserted-by":"crossref","first-page":"1377","DOI":"10.1111\/j.1540-6261.2009.01467.x","volume":"3","author":"J Driessen","year":"2009","unstructured":"Driessen, J., Maenhout, P., & Vilkov, G. (2009). The price of correlation risk: Evidence from equity options. The Journal of Finance, 3, 1377\u20131406.","journal-title":"The Journal of Finance"},{"issue":"6","key":"9097_CR25","doi-asserted-by":"crossref","first-page":"1343","DOI":"10.1111\/1468-0262.00164","volume":"68","author":"D Duffie","year":"2000","unstructured":"Duffie, D., Pan, J., & Singleton, K. (2000). Transform analysis and asset pricing for affine jump-diffusions. Econometrica, 68(6), 1343\u20131376.","journal-title":"Econometrica"},{"issue":"5","key":"9097_CR26","doi-asserted-by":"crossref","first-page":"1279","DOI":"10.1017\/S0022109010000463","volume":"45","author":"D Egloff","year":"2010","unstructured":"Egloff, D., Leippold, M., & Wu, L. (2010). The term structure of variance swap rates and optimal variance swap investments. Journal of Financial and Quantitative Analysis, 45(5), 1279\u20131310.","journal-title":"Journal of Financial and Quantitative Analysis"},{"issue":"4","key":"9097_CR27","doi-asserted-by":"crossref","first-page":"643","DOI":"10.2307\/1884324","volume":"75","author":"D Ellsberg","year":"1961","unstructured":"Ellsberg, D. (1961). Risk, ambiguity, and the savage axioms. The Quarterly Journal of Economics, 75(4), 643\u2013669.","journal-title":"The Quarterly Journal of Economics"},{"issue":"6","key":"9097_CR28","doi-asserted-by":"crossref","first-page":"2085","DOI":"10.3982\/ECTA8689","volume":"78","author":"LG Epstein","year":"2010","unstructured":"Epstein, L. G. (2010). A paradox for the smooth ambiguity model of preference. Econometrica, 78(6), 2085\u20132099.","journal-title":"Econometrica"},{"issue":"1","key":"9097_CR29","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1016\/S0022-0531(03)00097-8","volume":"113","author":"LG Epstein","year":"2003","unstructured":"Epstein, L. G., & Schneider, M. (2003). Recursive multiple-priors. Journal of Economic Theory, 113(1), 1\u201331.","journal-title":"Journal of Economic Theory"},{"key":"9097_CR30","doi-asserted-by":"crossref","first-page":"315","DOI":"10.1146\/annurev-financial-120209-133940","volume":"2","author":"LG Epstein","year":"2010","unstructured":"Epstein, L. G., & Schneider, M. (2010). Ambiguity and asset markets. Annual Review of Financial Economics, 2, 315\u2013346.","journal-title":"Annual Review of Financial Economics"},{"issue":"3","key":"9097_CR31","doi-asserted-by":"crossref","first-page":"1367","DOI":"10.1111\/j.1540-6261.2004.00666.x","volume":"59","author":"B Eraker","year":"2004","unstructured":"Eraker, B. (2004). Do stock prices and volatility jump? Reconciling evidence from spot and option prices. Journal of Finance, 59(3), 1367\u20131404.","journal-title":"Journal of Finance"},{"issue":"3","key":"9097_CR32","doi-asserted-by":"crossref","first-page":"1269","DOI":"10.1111\/1540-6261.00566","volume":"58","author":"B Eraker","year":"2003","unstructured":"Eraker, B., Johannes, M., & Polson, N. (2003). The impact of jumps in volatility and returns. Journal of Finance, 58(3), 1269\u20131300.","journal-title":"Journal of Finance"},{"issue":"2","key":"9097_CR33","doi-asserted-by":"crossref","first-page":"234","DOI":"10.1111\/j.1467-6419.2010.00641.x","volume":"26","author":"J Etner","year":"2012","unstructured":"Etner, J., Jeleva, M., & Tallon, J.-M. (2012). Decision theory under ambiguity. Journal of Economic Surveys, 26(2), 234\u2013270.","journal-title":"Journal of Economic Surveys"},{"issue":"4","key":"9097_CR34","doi-asserted-by":"crossref","first-page":"507","DOI":"10.1007\/s10436-012-0197-y","volume":"8","author":"G Faria","year":"2012","unstructured":"Faria, G., & Correia-da-Silva, J. (2012). The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices. Annals of Finance, 8(4), 507\u2013531.","journal-title":"Annals of Finance"},{"issue":"2","key":"9097_CR35","doi-asserted-by":"crossref","first-page":"117","DOI":"10.1007\/s007800050008","volume":"4","author":"H Follmer","year":"2000","unstructured":"Follmer, H., & Leukert, P. (2000). Efficient hedging: Cost versus shortfall risk. Finance and Stochastics, 4(2), 117\u2013146.","journal-title":"Finance and Stochastics"},{"key":"9097_CR36","unstructured":"Follmer, H. & Sondermann, D. (1986). Hedging of non-redundant contingent claims. Contributions to Mathematical Economics, pp. 205\u2013223."},{"issue":"10","key":"9097_CR37","doi-asserted-by":"crossref","first-page":"4157","DOI":"10.1093\/rfs\/hhn092","volume":"22","author":"P Gagliardini","year":"2009","unstructured":"Gagliardini, P., Porchia, P., & Trojani, F. (2009). Ambiguity aversion and the term structure of interest rates. Review of Financial Studies, 22(10), 4157\u20134188.","journal-title":"Review of Financial Studies"},{"issue":"1","key":"9097_CR38","doi-asserted-by":"crossref","first-page":"41","DOI":"10.1093\/rfs\/hhl003","volume":"20","author":"L Garlappi","year":"2007","unstructured":"Garlappi, L., Uppal, R., & Wang, T. (2007). Portfolio selection with parameter and model uncertainty: A multi-prior approach. Review of Financial Studies, 20(1), 41\u201381.","journal-title":"Review of Financial Studies"},{"issue":"2","key":"9097_CR39","doi-asserted-by":"crossref","first-page":"141","DOI":"10.1016\/0304-4068(89)90018-9","volume":"18","author":"I Gilboa","year":"1989","unstructured":"Gilboa, I., & Schmeidler, D. (1989). Maxmin expected utility with non-unique prior. Journal of Mathematical Economics, 18(2), 141\u2013153.","journal-title":"Journal of Mathematical Economics"},{"issue":"1","key":"9097_CR40","doi-asserted-by":"crossref","first-page":"57","DOI":"10.1007\/s11147-011-9069-2","volume":"15","author":"F Guillaume","year":"2012","unstructured":"Guillaume, F., & Schoutens, W. (2012). Calibration risk: Illustrating the impact of calibration risk under the Heston model. Review of Derivatives Research, 15(1), 57\u201379.","journal-title":"Review of Derivatives Research"},{"issue":"3","key":"9097_CR41","doi-asserted-by":"crossref","first-page":"519","DOI":"10.1006\/redy.2001.0132","volume":"4","author":"LP Hansen","year":"2001","unstructured":"Hansen, L. P., & Sargent, T. J. (2001). Acknowledging misspecification in macroeconomic theory. Review of Economic Dynamics, 4(3), 519\u2013535.","journal-title":"Review of Economic Dynamics"},{"issue":"01","key":"9097_CR42","doi-asserted-by":"crossref","first-page":"40","DOI":"10.1017\/S1365100502027049","volume":"6","author":"LP Hansen","year":"2002","unstructured":"Hansen, L. P., Sargent, T. J., & Wang, N. E. (2002). Robust permanent income and pricing with filtering. Macroeconomic Dynamics, 6(01), 40\u201384.","journal-title":"Macroeconomic Dynamics"},{"issue":"2","key":"9097_CR43","doi-asserted-by":"crossref","first-page":"327","DOI":"10.1093\/rfs\/6.2.327","volume":"6","author":"SL Heston","year":"1993","unstructured":"Heston, S. L. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies, 6(2), 327\u2013343.","journal-title":"Review of Financial Studies"},{"issue":"3","key":"9097_CR44","doi-asserted-by":"crossref","first-page":"585","DOI":"10.1093\/rfs\/13.3.585","volume":"13","author":"SL Heston","year":"2000","unstructured":"Heston, S. L., & Nandi, S. (2000). A closed-form GARCH option valuation model. Review of Financial Studies, 13(3), 585\u2013625.","journal-title":"Review of Financial Studies"},{"key":"9097_CR45","unstructured":"Hille, E. (1976). Ordinary differential equations in the complex domain. Wiley, reprinted by Dover, 1997."},{"issue":"2","key":"9097_CR46","doi-asserted-by":"crossref","first-page":"281","DOI":"10.1111\/j.1540-6261.1987.tb02568.x","volume":"42","author":"JC Hull","year":"1987","unstructured":"Hull, J. C., & White, A. D. (1987). The pricing of options on assets with stochastic volatilities. Journal of Finance, 42(2), 281\u2013300.","journal-title":"Journal of Finance"},{"key":"9097_CR47","doi-asserted-by":"crossref","unstructured":"Jaimungal, S. (2011). Irreversible investments and ambiguity aversion. Unpublished manuscript.","DOI":"10.2139\/ssrn.1961786"},{"issue":"2","key":"9097_CR48","doi-asserted-by":"crossref","first-page":"143","DOI":"10.2307\/2330709","volume":"22","author":"H Johnson","year":"1987","unstructured":"Johnson, H., & Shanno, D. (1987). Option pricing when the variance is changing. Journal of Financial & Quantitative Analysis, 22(2), 143\u2013151.","journal-title":"Journal of Financial & Quantitative Analysis"},{"key":"9097_CR49","unstructured":"Kamien, M. I. & Schwartz, N. L. (1991). Dynamic optimization, 2nd ed. North-Holland."},{"key":"9097_CR50","unstructured":"Kast, R., Lapied, A., & Roubaud, D. (2010). Real options under ambiguity: The case for Choquet\u2013Brownian motions. Unpublished manuscript."},{"issue":"6","key":"9097_CR51","doi-asserted-by":"crossref","first-page":"1849","DOI":"10.1111\/j.1468-0262.2005.00640.x","volume":"73","author":"P Klibanoff","year":"2005","unstructured":"Klibanoff, P., Marinacci, M., & Mukerji, S. (2005). A smooth model of decision making under ambiguity. Econometrica, 73(6), 1849\u20131892.","journal-title":"Econometrica"},{"issue":"3","key":"9097_CR52","doi-asserted-by":"crossref","first-page":"1303","DOI":"10.3982\/ECTA9775","volume":"80","author":"P Klibanoff","year":"2012","unstructured":"Klibanoff, P., Marinacci, M., & Mukerji, S. (2012). On the smooth ambiguity model: A reply. Econometrica, 80(3), 1303\u20131321.","journal-title":"Econometrica"},{"key":"9097_CR53","volume-title":"Risk","author":"FH Knight","year":"1921","unstructured":"Knight, F. H. (1921). Risk. Houghton Mifflin, Boston: Uncertainty and profit."},{"key":"9097_CR54","doi-asserted-by":"crossref","first-page":"131","DOI":"10.1093\/rfs\/hhi011","volume":"18","author":"J Liu","year":"2005","unstructured":"Liu, J., Pan, J., & Wang, T. (2005). An equilibrium model of rare-event premia and its implications for option smirks. Review of Financial Studies, 18, 131\u2013164.","journal-title":"Review of Financial Studies"},{"issue":"6","key":"9097_CR55","doi-asserted-by":"crossref","first-page":"1429","DOI":"10.2307\/1913837","volume":"46","author":"R Lucas","year":"1978","unstructured":"Lucas, R. (1978). Asset prices in an exchange economy. Econometrica, 46(6), 1429\u20131445.","journal-title":"Econometrica"},{"issue":"6","key":"9097_CR56","doi-asserted-by":"crossref","first-page":"1447","DOI":"10.1111\/j.1468-0262.2006.00716.x","volume":"74","author":"F Maccheroni","year":"2006","unstructured":"Maccheroni, F., Marinacci, M., & Rustichini, A. (2006). Ambiguity aversion, robustness, and the variational representation of preferences. Econometrica, 74(6), 1447\u20131498.","journal-title":"Econometrica"},{"key":"9097_CR57","doi-asserted-by":"crossref","first-page":"79","DOI":"10.1023\/A:1009703431535","volume":"2","author":"D Madan","year":"1998","unstructured":"Madan, D., Carr, P., & Chang, E. (1998). The variance gamma process and option pricing. European Finance Review, 2, 79\u2013105.","journal-title":"European Finance Review"},{"issue":"1","key":"9097_CR58","doi-asserted-by":"crossref","first-page":"136","DOI":"10.1016\/j.jet.2005.12.012","volume":"128","author":"PJ Maenhout","year":"2006","unstructured":"Maenhout, P. J. (2006). Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium. Journal of Economic Theory, 128(1), 136\u2013163.","journal-title":"Journal of Economic Theory"},{"issue":"1","key":"9097_CR59","doi-asserted-by":"crossref","first-page":"141","DOI":"10.2307\/3003143","volume":"4","author":"RC Merton","year":"1973","unstructured":"Merton, R. C. (1973). Theory of rational option pricing. Bell Journal of Economics, 4(1), 141\u2013183.","journal-title":"Bell Journal of Economics"},{"issue":"1\u20132","key":"9097_CR60","doi-asserted-by":"crossref","first-page":"125","DOI":"10.1016\/0304-405X(76)90022-2","volume":"3","author":"RC Merton","year":"1976","unstructured":"Merton, R. C. (1976). Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics, 3(1\u20132), 125\u2013144.","journal-title":"Journal of Financial Economics"},{"key":"9097_CR61","doi-asserted-by":"crossref","first-page":"323","DOI":"10.1016\/0304-405X(80)90007-0","volume":"8","author":"RC Merton","year":"1980","unstructured":"Merton, R. C. (1980). On estimating the expected return on the market: An explanatory investigation. Journal of Financial Economics, 8, 323\u2013361.","journal-title":"Journal of Financial Economics"},{"key":"9097_CR62","unstructured":"Miao, J., & Wang, N. (2009). Risk, uncertainty, and option exercise. Unpublished Manuscript."},{"key":"9097_CR63","doi-asserted-by":"crossref","unstructured":"Miao, J., Wei, B., & Zhou, H. (2012). Ambiguity aversion and variance premium. Unpublished manuscript.","DOI":"10.2139\/ssrn.2029296"},{"key":"9097_CR64","doi-asserted-by":"crossref","unstructured":"Mijatovic, A., & Schneider, P. (2013). Empirical asset pricing with nonlinear risk premia. Journal of Financial Econometrics, (forthcoming).","DOI":"10.1093\/jjfinec\/nbt018"},{"key":"9097_CR65","unstructured":"Mikhailov, S., & Nogel, U. (2003). Heston stochastic volatility model implementation, calibration and some extensions. Wilmott (July), pp. 74\u201379."},{"issue":"1","key":"9097_CR66","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1016\/S0304-405X(01)00088-5","volume":"63","author":"J Pan","year":"2002","unstructured":"Pan, J. (2002). The jump-risk premia implicit in options: Evidence from an integrated time-series study. Journal of Financial Economics, 63(1), 3\u201350.","journal-title":"Journal of Financial Economics"},{"issue":"3","key":"9097_CR67","doi-asserted-by":"crossref","first-page":"857","DOI":"10.3982\/ECTA7594","volume":"77","author":"F Riedel","year":"2009","unstructured":"Riedel, F. (2009). Optimal stopping with multiple priors. Econometrica, 77(3), 857\u2013908.","journal-title":"Econometrica"},{"key":"9097_CR68","volume-title":"Option pricing models & volatility using excel-VBA","author":"FD Rouah","year":"2007","unstructured":"Rouah, F. D., & Vainberg, G. (2007). Option pricing models & volatility using excel-VBA. Hoboken, New Jersey: Wiley."},{"issue":"3","key":"9097_CR69","doi-asserted-by":"crossref","first-page":"771","DOI":"10.1111\/j.1540-6261.1994.tb00079.x","volume":"49","author":"M Rubinstein","year":"1994","unstructured":"Rubinstein, M. (1994). Implied binomial trees. Journal of Finance, 49(3), 771\u2013818.","journal-title":"Journal of Finance"},{"issue":"4","key":"9097_CR70","doi-asserted-by":"crossref","first-page":"419","DOI":"10.2307\/2330793","volume":"22","author":"LO Scott","year":"1987","unstructured":"Scott, L. O. (1987). Option pricing when the variance changes randomly: Theory, estimation, and an application. The Journal of Financial and Quantitative Analysis, 22(4), 419\u2013438.","journal-title":"The Journal of Financial and Quantitative Analysis"},{"issue":"4","key":"9097_CR71","doi-asserted-by":"crossref","first-page":"727","DOI":"10.1093\/rfs\/4.4.727","volume":"4","author":"EM Stein","year":"1991","unstructured":"Stein, E. M., & Stein, J. C. (1991). Stock price distributions with stochastic volatility: An analytic approach. Review of Financial Studies, 4(4), 727\u2013752.","journal-title":"Review of Financial Studies"},{"key":"9097_CR72","unstructured":"Taylor, S. J. (2005). Asset price, dynamics, volatility, and prediction. Published by Princeton University Press."},{"issue":"1","key":"9097_CR73","doi-asserted-by":"crossref","first-page":"345","DOI":"10.1093\/rfs\/hhp035","volume":"23","author":"V Todorov","year":"2010","unstructured":"Todorov, V. (2010). Variance risk-premium dynamics: The role of jumps. Review of Financial Studies, 23(1), 345\u2013383.","journal-title":"Review of Financial Studies"},{"issue":"2","key":"9097_CR74","doi-asserted-by":"crossref","first-page":"279","DOI":"10.1023\/B:EUFI.0000035193.29969.40","volume":"8","author":"F Trojani","year":"2004","unstructured":"Trojani, F., & Vanini, P. (2004). Robustness and ambiguity aversion in general equilibrium. Review of Finance, 8(2), 279\u2013324.","journal-title":"Review of Finance"},{"issue":"2","key":"9097_CR75","doi-asserted-by":"crossref","first-page":"245","DOI":"10.1093\/rof\/rfq012","volume":"15","author":"T Ui","year":"2011","unstructured":"Ui, T. (2011). The ambiguity premium vs. the risk premium under limited market participation. Review of Finance, 15(2), 245\u2013275.","journal-title":"Review of Finance"},{"issue":"2","key":"9097_CR76","doi-asserted-by":"crossref","first-page":"351","DOI":"10.1016\/0304-405X(87)90009-2","volume":"19","author":"JB Wiggins","year":"1987","unstructured":"Wiggins, J. B. (1987). Option values under stochastic volatility: Theory and empirical estimates. Journal of Financial Economics, 19(2), 351\u2013372.","journal-title":"Journal of Financial Economics"},{"key":"9097_CR77","unstructured":"Zhang, J. E., & Shu, J. (2003). Pricing S&P500 index options with Heston model. In Computational intelligence for financial engineering. Proceedings. 2003 IEEE international conference."}],"container-title":["Review of Derivatives Research"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s11147-014-9097-9.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s11147-014-9097-9\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s11147-014-9097-9","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,8,10]],"date-time":"2019-08-10T05:55:10Z","timestamp":1565416510000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s11147-014-9097-9"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2014,5,10]]},"references-count":77,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2014,7]]}},"alternative-id":["9097"],"URL":"https:\/\/doi.org\/10.1007\/s11147-014-9097-9","relation":{},"ISSN":["1380-6645","1573-7144"],"issn-type":[{"value":"1380-6645","type":"print"},{"value":"1573-7144","type":"electronic"}],"subject":[],"published":{"date-parts":[[2014,5,10]]}}}